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Hi I have a time series, which i check it for stationarity using ADF test and arima proc
proc arima data=&td19;
identify var=interest_rate stationarity=(adf=4);
run;
quit;
Below is the ADF test and trend & correlation analysis
i started from the table from the bottom (trend model) and using the Tau compared it with 5% until to reject the null. i concluded that the series is stationary since 0.0315<0.05 zero mean model
However, when i see the ACF/PACF, based on my understanding, the series in not stationary. This is because the ACF decays slowly
My questions are : is this series stationary or not?
Augmented Dickey-Fuller Unit Root Tests | |||||||
Type | Lags | Rho | Pr < Rho | Tau | Pr < Tau | F | Pr > F |
Zero Mean | 0 | -2.7655 | 0.2517 | -2.46 | 0.014 | ||
1 | -5.0099 | 0.1214 | -2.26 | 0.0237 | |||
2 | -3.982 | 0.168 | -2.21 | 0.027 | |||
3 | -5.0286 | 0.1207 | -2.27 | 0.0228 | |||
4 | -4.2696 | 0.1532 | -2.14 | 0.0315 | |||
Single Mean | 0 | -2.5618 | 0.7064 | -1.71 | 0.4237 | 3.03 | 0.2995 |
1 | -6.4379 | 0.3047 | -2.17 | 0.2186 | 2.78 | 0.3619 | |
2 | -4.6272 | 0.4645 | -1.92 | 0.3218 | 2.49 | 0.437 | |
3 | -6.5225 | 0.2983 | -2.17 | 0.2192 | 2.8 | 0.3657 | |
4 | -5.2232 | 0.4056 | -1.93 | 0.315 | 2.39 | 0.4685 | |
Trend | 0 | -3.4578 | 0.9132 | -1.23 | 0.8994 | 1.52 | 0.8742 |
1 | -16.6892 | 0.1154 | -2.83 | 0.1917 | 4.32 | 0.3133 | |
2 | -10.7554 | 0.3659 | -2.18 | 0.4973 | 2.8 | 0.6186 | |
3 | -19.6884 | 0.0597 | -2.79 | 0.2033 | 4.29 | 0.3316 | |
4 | -15.4981 | 0.1473 | -2.39 | 0.3834 | 3.22 | 0.5402 |
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Maybe You need create a new variable = interest_rate - lag4(interest_rate) .
and use this new variable to run ADF ,and check if it is stationary .
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hi, thanks for your response. I have created the new variable :
newvar = interest_rate - lag4(interest_rate);
and run again the arima proc, below you can see the results
The table shows that the Tau = 0.0045 < 0.05 which means that it is stationary. The ACF decays faster but PACT has 1st lag significant
What is the conclusion? Does the below mean that the variable interest_rate is not stationary ?
Augmented Dickey-Fuller Unit Root Tests | |||||||
Type | Lags | Rho | Pr < Rho | Tau | Pr < Tau | F | Pr > F |
Zero Mean | 0 | -10.5703 | 0.022 | -2.35 | 0.0188 | ||
1 | -57.9428 | <.0001 | -5.44 | <.0001 | |||
2 | -47.1978 | <.0001 | -4.35 | <.0001 | |||
3 | -49.3153 | <.0001 | -4.28 | <.0001 | |||
4 | -24.2331 | 0.0003 | -3.01 | 0.003 | |||
Single Mean | 0 | -11.2029 | 0.092 | -2.41 | 0.1419 | 2.9 | 0.3406 |
1 | -62.2964 | 0.0009 | -5.57 | <.0001 | 15.55 | 0.001 | |
2 | -52.644 | 0.0009 | -4.49 | 0.0005 | 10.07 | 0.001 | |
3 | -55.7943 | 0.0009 | -4.35 | 0.0007 | 9.55 | 0.001 | |
4 | -27.2889 | 0.0011 | -3.07 | 0.0327 | 4.74 | 0.049 | |
Trend | 0 | -11.7463 | 0.3063 | -2.48 | 0.3379 | 3.09 | 0.5647 |
1 | -64.2625 | 0.0003 | -5.62 | <.0001 | 15.8 | 0.001 | |
2 | -55.4468 | 0.0003 | -4.55 | 0.0022 | 10.33 | 0.001 | |
3 | -57.8565 | 0.0003 | -4.32 | 0.0045 | 9.46 | 0.001 | |
4 | -28.5013 | 0.007 | -3.07 | 0.1194 | 4.74 | 0.2431 |